Did Donald Trump's tweets on Sino-US Trade affect the offshore RMB exchange rate?

被引：2
|
作者：
Zhou, Wen [1 ,2 ,3 ]
机构：
[1] Hubei Univ Econ, Sch Finance, Wuhan, Peoples R China
[2] Collaborat Innovat Ctr Emiss Trading Syst Coconstr, Wuhan, Peoples R China
[3] 8 Yangqiaohu Rd,Canglongdao Dev Pk, Wuhan 430205, Hubei, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
关键词：
Donald Trump; Sino-US trade; Tweets; Offshore RMB exchange rate; NEWS;
D O I：
10.1016/j.frl.2023.104283
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study examines how Donald Trump's tweets regarding Sino-U.S. trade affect the offshore RMB exchange rate through the volatility channel and the fundamental factors channel. The tweets are categorized into "positive" and "nonpositive", and GARCH(1,1)-in-mean model and OLS model with heteroscedasticity-and autocorrelation-consistent (HAC) standard errors are employed. Results indicate that nonpositive tweets impacted the volatility of offshore RMB ex-change rates, but had no effect through the volatility channel. Positive and nonpositive tweets both significantly affected the offshore RMB exchange rate through the fundamental factors channel.
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页数：8
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